Morningstar DBRS Assigns Provisional Credit Ratings to SMB Private Education Loan Trust 2024-F

DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the classes of notes to be issued by SMB Private Education Loan Trust 2024-F (SMB 2024-F) as follows:

-- Fixed Rate Class A-1A Notes rated (P) AAA (sf)*
-- Floating Rate Class A-1B Notes rated (P) AAA (sf)*
-- $37,000,000 Fixed Rate Class B Notes rated (P) AA (sf)

*The allocation of the aggregate initial principal balance of the Class A Notes between the Class A-1A Notes and the Class A-1B Notes will be determined on or before the date of pricing. The aggregate initial principal balance of the Class A Notes will be equal to $458,000,000, of which the issuing entity expects that the initial principal balance of the Class A-1B Notes will be an amount not less than $50,000,000 and not more than $100,000,000. The interest rate for the Class A Notes will be equal to a combination of a fixed rate and a floating rate.

CREDIT RATING RATIONALE/DESCRIPTION
The credit ratings are based on Morningstar DBRS' review of the following analytical considerations:

-- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns September 2024 Update," published on September 25, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020.
-- The transaction's form and sufficiency of available credit enhancement.
-- Overcollateralization, note subordination, reserve account amounts, and excess spread create credit enhancement levels and liquidity that are commensurate with the proposed credit ratings.
-- Transaction cash flows are sufficient to repay investors under all AAA (sf) and AA (sf) stress scenarios in accordance with the terms of the SMB 2024-F transaction documents.
-- The quality and credit characteristics of the student loans and underlying borrowers.
-- Sallie Mae Bank's (SMB) capabilities with regard to originations and underwriting.
-- Morningstar DBRS has performed an operational review of SMB's origination platform and has determined the bank to be an acceptable student loan originator.
-- The ability of the Servicer to perform collections on the collateral pool and other required activities.
-- Morningstar DBRS has performed an operational review of SMB as the servicer and considers the entity an acceptable servicer of private student loans.
-- The legal structure and expected legal opinions that will address the true sale of the student loans, the nonconsolidation of the trust, that the trust has a valid first-priority security interest in the assets, and consistency with Morningstar DBRS' "Legal Criteria for U.S. Structured Finance."

Morningstar DBRS' credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated classes of notes are the related Noteholders' Interest Distribution Amount and the related Outstanding Principal Balance.

Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. The associated contractual payment obligation that is not a financial obligation for each of the rated notes is the related interest on any unpaid Noteholders' Interest Distribution Amount.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS  
There were no Environmental, Social, or Governance factors that had a significant or relevant effect on the credit analysis.
 
A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (August 13, 2024) at https://dbrs.morningstar.com/research/437781.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology applicable to the credit rating is Rating U.S. Private Student Loan Securitizations (August 6, 2024), https://dbrs.morningstar.com/research/437560.

Other methodologies referenced in this transaction are listed at the end of this press release.

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

A provisional credit rating is not a final credit rating with respect to the above-mentioned securities and may change or be different than the final credit rating assigned or may be discontinued. The assignment of final credit ratings on the above-mentioned securities is subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalize the credit ratings.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process.

DBRS, Inc.
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New York, NY 10005 USA
Tel. +1 212 806-3277

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Rating U.S. Structured Finance Transactions (August 6, 2024), https://dbrs.morningstar.com/research/437571
-- Operational Risk Assessment for U.S. ABS Originators and Servicers (August 6, 2024), https://dbrs.morningstar.com/research/437545
-- Legal Criteria for U.S. Structured Finance (April 15, 2024), https://dbrs.morningstar.com/research/431205
-- Interest Rate Stresses for U.S. Structured Finance Transactions (February 26, 2024), https://dbrs.morningstar.com/research/428623

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.